The Less-Efficient Market Hypothesis | October 2024 Round Up

The Alpha Architect Round Up

Submit your questions! Email: [e-mail] For more educational resources, check out the Alpha Architect blog.www.alphaarchitect.com/subscribe Follow us on X: Wes Gray, PhD: x.com/alphaarchitect Jack Vogel, PhD: x.com/jvogs02 Ryan Kirlin: x.com/RyanPKirlin Jose Ordoñez Jr: x.com/JOrdonezJr Welcome to the Alpha Architect Round Up. Every month the Alpha Architect crew gets together and talks financial trends and news with an evidence-based outlook. This month we talk about the AQR's Cliff Asness's new paper "The Less-Efficient Market Hypothesis" and review his claims regarding the market becoming less efficient over the past 30 years, valuation spreads as an indication of inefficiency, speeds vs. accuracy of markets, indexing, low interest rates and social media contagion. Additionally, we answer questions on tactical asset allocation, permanent tail hedging and equity contracts in managed futures. 0:00 - Intro/ 2k Subs! 1:58 - Valuation Spreads & Market Efficiency 7:29 - Speed vs. Accuracy 20:26 - Indexing & Efficiency 24:22 - Low Interest Rates & Efficiency 30:35 - Social Media & Efficiency 39:56 - Tactical Asset Allocation 44:54 - Permanent Tail Hedging 48:05 - Equity Contracts in Managed Futures 51:21 - Outro Sources:Asness, Cliff S., The Less-Efficient Market Hypothesis (August 30, 2024). 50th Anniversary Issue of The Journal of Portfolio Management, Forthcoming. Disclosures: alphaarchitect.com/disclosures.